Weather and SAD Related Mood
Effects on the Financial Market

Beschreibung

We investigate the relationship of weather and seasonal affective disorder (SAD) on the financial market. We use a wide variety of financial market data, namely risk-free interest rates, US corporate bond indexes, the spreads of individual US corporate bonds, stock index returns, stock returns and the VIX volatility index, as well as several weather variables and a SAD proxy. We distinguish between a model with a direct effect of the weather and SAD on the financial market and one with an indirect effect via a latent variable mood. Whereas only the latter model is justified by psychological literature, often the former model is used as an approximation. One major innovation of this paper is a consistent
econometric implementation of the indirect effect assumption. We demonstrate that the approximation yields biased estimates. We show that this demands for an analysis of
various financial sub-markets instead of focusing on single market segments. Our study supports weather-related, but no SAD related, mood effects on the financial market.

Zeitraum	25 Juni 2014 → 28 Juni 2014
Ereignistitel	23rd Annual Meeting of the European Financial Management Association
Veranstaltungstyp	Keine Angaben
Bekanntheitsgrad	International